data sample¶

<class 'pandas.core.frame.DataFrame'>
MultiIndex: 846384 entries, (Timestamp('2009-01-31 00:00:00'), '000001.XSHE') to (Timestamp('2022-12-31 00:00:00'), '689009.XSHG')
Data columns (total 28 columns):
 #   Column          Non-Null Count   Dtype  
---  ------          --------------   -----  
 0   close           508232 non-null  float64
 1   open            508232 non-null  float64
 2   high            508232 non-null  float64
 3   low             508232 non-null  float64
 4   avg             508232 non-null  float64
 5   volume          846384 non-null  float64
 6   market_cap      508237 non-null  float64
 7   turnover_ratio  507845 non-null  float64
 8   money           846384 non-null  float64
 9   ep              508189 non-null  float64
 10  skew            513698 non-null  float64
 11  distance        448420 non-null  float64
 12  mom1M           503194 non-null  float64
 13  mom2M           498317 non-null  float64
 14  mom3M           493464 non-null  float64
 15  mom4M           488635 non-null  float64
 16  mom5M           483848 non-null  float64
 17  mom6M           479108 non-null  float64
 18  mom7M           474389 non-null  float64
 19  mom8M           469665 non-null  float64
 20  mom9M           464951 non-null  float64
 21  mom10M          460270 non-null  float64
 22  mom11M          455623 non-null  float64
 23  mom12M          450991 non-null  float64
 24  Mom2M           498184 non-null  float64
 25  turnover3M      497688 non-null  float64
 26  amount3M        836308 non-null  float64
 27  stddev_diff     508835 non-null  float64
dtypes: float64(28)
memory usage: 184.2+ MB

1.different momentum¶

  • ic test
mom1M_1M mom2M_1M mom3M_1M mom4M_1M mom5M_1M mom6M_1M mom7M_1M mom8M_1M mom9M_1M mom10M_1M mom11M_1M mom12M_1M
ic_raw ic.mean -0.039399 -0.025225 -0.003760 0.002217 -0.003429 0.003759 0.009115 0.006976 0.002733 -0.011311 0.011199 0.009796
ic.ir -0.340330 -0.246935 -0.042260 0.026266 -0.039796 0.042931 0.122569 0.083234 0.037512 -0.140185 0.157093 0.149051
ic.t-stats -1.223137 -0.887477 -0.151881 0.094399 -0.143027 0.154293 0.440509 0.299142 0.134818 -0.503820 0.564590 0.535686
ic_ind_neu ic.mean -0.046389 -0.023245 -0.006234 0.000009 -0.002668 0.001756 0.005627 0.003429 0.000378 -0.008984 0.003528 0.006945
ic.ir -0.473895 -0.290938 -0.092156 0.000152 -0.042772 0.029371 0.108967 0.058276 0.007497 -0.155148 0.069532 0.157366
ic.t-stats -1.703166 -1.045623 -0.331208 0.000547 -0.153720 0.105559 0.391624 0.209442 0.026944 -0.557597 0.249895 0.565571

Mom2M¶

skew¶

distance¶

turnover3M¶

stddev_diff¶